RiskVal Fixed Income (RVFI) Weekly Enhancements - 10/8/21


Key Features in this Release:


Trade Blotter

  • [Swaps] Added hotkeys- <Ctrl> + N for new row, <Ctrl> + D to delete row, F2 to control dropdowns


Sprd/Bfly

  • Added support for generic 1st gasoline future by entering “XB1”

  • [USD/EUR]: Added OTR RVS set of columns, also available in USD & EUR Bond

  • Added auction days in historical graphs for Current Bills & TIPS


Forward Curve Analysis

  • Added inflation curves for G7 + AUD


Basis Swap/ Custom Basis

  • Added support for CADOIS vs SOFR, also available in Custom Basis


USD Trsy 2+RVS

  • Added ability to change order or graphs using “Preferences” – “Graph Order”

  • When “Show CB12” is selected, CB12 will be shown in OIS/ASW/SOFR graphs as well


USD Bond

  • Added Forward SOFR Spread Z vs Forward OIS Spread Z to Graph dropdown


Minor Fixes & Enhancements:


Bond Roll:

  • [USD, EUR, GBP]: “Par Cpn” column will be real time updated after hitting “Calculation” – “Calc Strip”

  • [GBP]: Added Green Bond filter, also available in GBP Curve Analysis

CCY TIPS: Added “Issue Date” column

USD Agency: Benchmarks will now be highlighted green

Forward Swap Matrix:

  • Added SOFR-CMT tab to lower matrix

  • Under “Help” – “Examples”, renamed “G7 Swap” to “G7 Swap & OIS” & added XMRT examples

FWD FWD Matrix: When CCY curve is turned on, CCY will be auto added to top CCY dropdown & to lower CCY table


Previous week's release - Sprd/Bfy, Trade Blotter, Forward Swap Matrix, USD Bond 2+ RVS, and S+SP enhancements